Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.2205 |
| Annualized Std Dev | 0.6369 |
| Annualized Sharpe (Rf=0%) | 0.3461 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3069.0000 |
| NAs | 1.0000 |
| Minimum | -0.4359 |
| Quartile 1 | -0.0151 |
| Median | 0.0030 |
| Arithmetic Mean | 0.0016 |
| Geometric Mean | 0.0008 |
| Quartile 3 | 0.0209 |
| Maximum | 0.3107 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | 0.0002 |
| UCL Mean (0.95) | 0.0030 |
| Variance | 0.0016 |
| Stdev | 0.0401 |
| Skewness | -0.6908 |
| Kurtosis | 12.3441 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0297 |
| Gain Deviation | 0.0273 |
| Loss Deviation | 0.0330 |
| Downside Deviation (MAR=210%) | 0.0329 |
| Downside Deviation (Rf=0%) | 0.0290 |
| Downside Deviation (0%) | 0.0290 |
| Maximum Drawdown | 0.8646 |
| Historical VaR (95%) | -0.0604 |
| Historical ES (95%) | -0.0981 |
| Modified VaR (95%) | -0.0619 |
| Modified ES (95%) | -0.1350 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2018-08-30 | 2020-03-23 | 2021-03-11 | -0.8646 | 636 | 392 | 244 |
| 2009-01-09 | 2009-03-09 | 2009-05-06 | -0.6324 | 81 | 40 | 41 |
| 2011-05-02 | 2011-10-03 | 2013-05-17 | -0.6317 | 515 | 108 | 407 |
| 2015-06-24 | 2016-02-11 | 2016-11-17 | -0.5155 | 356 | 161 | 195 |
| 2010-04-26 | 2010-07-06 | 2010-12-21 | -0.4785 | 168 | 50 | 118 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -8.2 | -4.1 | 3.9 | 0.5 | 10 | 2 | 0.7 | -7 | -9.6 | -8.7 | 4.1 | -3 | -19.6 |
| 2010 | 5.1 | 5.1 | 3.3 | -5.6 | -7.3 | -1.2 | 0.7 | 9.9 | 1 | -0.1 | 6.3 | -0.4 | 16.4 |
| 2011 | 4.3 | -5.3 | 1.8 | 0.8 | -7.3 | 4.8 | -2.3 | -4.2 | -8.4 | -8.8 | -0.8 | -1.2 | -24.5 |
| 2012 | 4.2 | 2.4 | 0.5 | 1.9 | -8.8 | 7.8 | -2.6 | 1.4 | -1.2 | 7.2 | -0.4 | 4.2 | 16.6 |
| 2013 | 2.4 | -0.7 | -2.7 | -5.4 | -3.1 | 3.6 | 6.3 | -4.5 | 4.3 | 0.3 | -1.2 | 1 | -0.4 |
| 2014 | -1.4 | 0.6 | 2.6 | 0.5 | -0.7 | 2.3 | -0.7 | 1.5 | -4.1 | 3.4 | -3.8 | -3.2 | -3.3 |
| 2015 | -4.2 | -1.3 | -1.2 | 2.6 | 0.8 | 0.8 | 0.4 | -8.2 | -0.6 | -0.4 | 2.4 | -3.4 | -12 |
| 2016 | -0.4 | 6.7 | 1.6 | -1.7 | 1.2 | 0.7 | -0.9 | -0.5 | 2.3 | -3.2 | -1 | -1.5 | 3.1 |
| 2017 | -0.9 | 5 | 0.3 | 1.2 | 4.7 | 0.2 | 0.6 | 1.5 | 0.4 | -1 | -0.8 | -1.7 | 9.6 |
| 2018 | 0.6 | -0.9 | 4.2 | 1 | 1.8 | 0.4 | -0.7 | 0.7 | -2.5 | 6.2 | 1.9 | 2.7 | 16.1 |
| 2019 | 0.7 | 2.3 | 3.9 | -3.5 | -2.9 | 0.7 | -4.8 | 0.6 | -5.6 | 4.4 | -3.2 | 0.5 | -7.2 |
| 2020 | -6.1 | -5.9 | -16.6 | -10.5 | 3.8 | -2.1 | -2.5 | 2.3 | 3.7 | -2.1 | 3.5 | 0.3 | -29.4 |
| 2021 | 6.2 | 8.5 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 15.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-01-08 5.05 SPY 91.0 0.0041 0.0089 0.0005 -0.0663 -0.351 -0.291 -0.194 GLD 84.5 0.0207 -0.0238
2 2009-01-09 4.78 SPY 89.1 -0.0214 -0.0416 -0.0046 -0.0178 -0.370 -0.308 -0.214 GLD 83.9 -0.0064 -0.0268
3 2009-01-12 4.33 SPY 87.0 -0.024 -0.0635 -0.0351 -0.0175 -0.380 -0.325 -0.226 GLD 80.8 -0.0377 -0.044
4 2009-01-13 4.36 SPY 87.1 0.0018 -0.068 -0.0094 -0.140 -0.383 -0.326 -0.231 GLD 80.9 0.0015 -0.0499
5 2009-01-14 3.87 SPY 84.4 -0.0315 -0.0695 -0.0519 -0.155 -0.389 -0.345 -0.250 GLD 79.8 -0.0135 -0.0358
6 2009-01-15 4.04 SPY 84.4 0.0004 -0.073 -0.0382 -0.0624 -0.384 -0.344 -0.256 GLD 80.4 0.0075 -0.0482
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
